Too much information: When reducing the informational content of input parameters yields better portfolios
2022-05-13
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1 min read
Abstract
This presentation proposes ranking-based portfolio optimization to mitigate the effects of parameter uncertainty, improving Sharpe ratios and reducing portfolio concentration.
Event
Location
University of Neuchâtel, R. 107
Neuchâtel, Switzerland
Finance Seminar, University of Neuchâtel (invited)
- Where: University of Neuchâtel (R. 107)
- When (Date): 2022-05-13
- When (Time): 12:15-13:15
- Link: https://www.unine.ch/iaf/home/seminaires_finance/2021-2022.html
- Working Paper: Less Is More: Ranking Information, Estimation Errors and Optimal Portfolios
